When I add a Modifier, nothing happens
You have actually selected the Warp modifier instead of the Wave modifier. 

For the Warpmodifier to work, you need to select two objects in the "from" and "to" dropdown menus.

If you have trouble with the Wave modifier, try adding more geometry like Samir Rahamtalla suggested (subdivision modifier before the wave modifier or manual subdivision in edit mode).

Further information (Blender Docs)